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Regulators charged with monitoring systemic risk need to focus on sentiment as well as narrowly defined measures of systemic risk. This chapter describes techniques for jointly monitoring the co-evolution of sentiment and systemic risk. To measure systemic ...
This paper investigates the effect of the gravity framing system on the overstrength and collapse risk of steel frame buildings with perimeter special moment frames (SMFs) designed in North America. A nonlinear analytical model that simulates the pinched h ...
We provide the first systematic study of liquidity in the foreign exchange market. We find significant variation in liquidity across exchange rates, substantial illiquidity costs, and strong commonality in liquidity across currencies and with equity and bo ...
Empirical tests of reduced form models of default attribute a large fraction of observed credit spreads to compensation for jump-to-default risk. However, these models preclude a “contagion-risk” channel, where the aggregate corporate bond index reacts adv ...
This paper proposes a broad review of what risk governance is about and the main deficits that often hinder effective governance of complex, uncertain or systemic risks. Working to overcome identified roadblocks to effective disaster risk management is a f ...
Trade credit arises when a buyer delays payment for purchased goods or services. Its nature has predominantly been an area of inquiry for researchers from the disciplines of finance, marketing, and economics but it has received relatively little attention ...
Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit event risk typically preclude the most plausible economic justification for such risk to be priced--namely, a “contagious” response of the market po ...
We investigate whether bank performance during the recent credit crisis is related to chief executive officer (CEO) incentives before the crisis. We find some evidence that banks with CEOs whose incentives were better aligned with the interests of sharehol ...
As part of the MIRAGE (MILAGRO) study conducted 7-30 March 2006 in Mexico City and its Metropolitan Area (MCMA), fine particulate matter (PM2.5) was collected using two Tapered Element Oscillating Microbalance (TEOM) systems, and a Partisol instrument at t ...
